相关论文: Moral hazard under ambiguity

Stochastic control problems related to optimal advertising under uncertainty are considered. In particular, we determine the optimal strategies for the problem of maximizing the utility of goodwill at launch time and minimizing the…

We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…

We propose to study electricity capacity remuneration mechanism design through a Principal-Agent approach. The Principal represents the aggregation of electricity consumers (or a representative entity), subject to the physical risk of…

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…

We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose both the starting time of the reinsurance contract and the…

The agency problem emerges in today's large scale machine learning tasks, where the learners are unable to direct content creation or enforce data collection. In this work, we propose a theoretical framework for aligning economic interests…

In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…

We study the hidden-action principal-agent problem in an online setting. In each round, the principal posts a contract that specifies the payment to the agent based on each outcome. The agent then makes a strategic choice of action that…

We study a multi-agent contract design problem with moral hazard. In our model, each agent exerts costly effort towards an individual task at which it may either succeed or fail, and the principal, who wishes to encourage effort, has an…

This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. First the effect of the extra constraints on…

We initiate the study of online contracts, which integrate the game-theoretic considerations of economic contract theory, with the algorithmic and informational challenges of online algorithm design. Our starting point is the classic online…

The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…

We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…

This paper studies how uncertainty about problem difficulty shapes problem-solving strategies. I develop a dynamic model where an agent solves a problem by brainstorming approaches of unknown quality and allocating a fixed effort budget…

In this paper we study a generalization of the continuous time Principal-Agent problem allowing for time inconsistent utility functions, for instance of mean-variance type. Using recent results on the Pontryagin maximum principle for FBSDEs…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

We study a natural application of contract design in the context of sequential exploration problems. In our principal-agent setting, a search task is delegated to an agent. The agent performs a sequential exploration of $n$ boxes, suffers…

There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…

We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…

We study the optimal contract problem in the \emph{combinatorial actions} framework of D\"utting et al.~[FOCS'21], where a principal delegates a project to an agent who chooses a subset of hidden, costly actions, and the resulting reward is…